Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0817 |
| Annualized Std Dev | 0.1957 |
| Annualized Sharpe (Rf=0%) | 0.4173 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3481.0000 |
| NAs | 1.0000 |
| Minimum | -0.1094 |
| Quartile 1 | -0.0041 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1014 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.5980 |
| Kurtosis | 12.1897 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0091 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0105 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.5005 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0308 |
| Modified VaR (95%) | -0.0189 |
| Modified ES (95%) | -0.0387 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-15 | 2009-03-09 | 2013-01-29 | -0.5005 | 1308 | 352 | 956 |
| 2020-02-13 | 2020-03-23 | 2020-11-09 | -0.3483 | 188 | 27 | 161 |
| 2018-09-24 | 2018-12-24 | 2019-04-30 | -0.1909 | 148 | 62 | 86 |
| 2015-05-22 | 2016-02-11 | 2016-07-14 | -0.1748 | 252 | 161 | 91 |
| 2018-01-29 | 2018-04-02 | 2018-08-29 | -0.1041 | 147 | 44 | 103 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -0.4 |
| 2007 | 0.7 | -0.2 | -0.2 | -0.3 | 0.2 | -0.4 | -1.6 | 1.1 | 1.1 | -2.2 | -0.3 | -0.6 | -2.7 |
| 2008 | 1.1 | -2.5 | 2.7 | 1.9 | 0.4 | 0.1 | -0.7 | -1.1 | -1.3 | 2.7 | -7.9 | 1.2 | -3.9 |
| 2009 | -2.1 | -2 | 1.5 | 0.3 | 3.3 | 0.7 | -0.6 | -1.3 | -2.2 | -1.9 | 1.2 | -0.9 | -4.2 |
| 2010 | 1.3 | 1.1 | 0.8 | -1.7 | -0.5 | -0.1 | 0.2 | 3 | 0.5 | 0 | 1.8 | 0 | 6.5 |
| 2011 | 1.5 | -1 | 0.3 | 0.3 | -1.2 | 1.4 | -0.4 | 0.2 | -0.4 | -3.4 | 0.7 | -0.8 | -2.7 |
| 2012 | 1.6 | -0.2 | 0.2 | 1.1 | -2.1 | 2.1 | 0.1 | 0.6 | 0.4 | 0.9 | 0.9 | -0.5 | 5.2 |
| 2013 | 0.8 | -0.1 | -0.1 | -0.2 | -1 | -0.1 | 1.3 | -0.6 | 0.8 | 0.1 | 0.3 | 0.4 | 1.4 |
| 2014 | -1.1 | 0.6 | 0.1 | -0.1 | 0.6 | 0.6 | -0.2 | 0.2 | -1.1 | 0.9 | -0.2 | -0.3 | -0.2 |
| 2015 | -1 | -0.3 | -1.1 | 1.1 | -0.3 | 0.5 | 0.2 | -2.8 | 0.6 | 0.1 | 0.3 | -0.9 | -3.5 |
| 2016 | 0.5 | 1.7 | 0.4 | -0.8 | 0.4 | 1.7 | 0 | -0.3 | 0.3 | 0.4 | -0.6 | -0.6 | 3 |
| 2017 | 0.2 | 1.3 | -0.1 | 0.2 | 0.8 | 0.2 | 0.2 | 0.4 | 0.3 | 0.2 | -0.5 | 0 | 3.1 |
| 2018 | 0 | -1.9 | 1.7 | -1.3 | 0.7 | 1.1 | -0.8 | -0.4 | 0.5 | 2 | 0.2 | 0.7 | 2.4 |
| 2019 | 0.1 | 0.5 | 1.1 | -0.9 | -1.3 | 0.8 | -1.1 | 0.2 | -1.4 | 1.2 | -0.4 | 0.2 | -1.1 |
| 2020 | -1.7 | -1.9 | -4.5 | -3.1 | 0.6 | 0.1 | -0.3 | 0 | 0 | -1 | 1 | 0.7 | -9.9 |
| 2021 | 0.5 | 1.7 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-12-01 25.1 SPY 140. -0.0022 -0.0009 0.0246 0.067 0.107 0.306 0.230 GLD 64.1 -4.20e-3 0.0098
2 2006-12-04 25.4 SPY 141. 0.0076 0.0207 0.033 0.0731 0.114 0.318 0.246 GLD 64.1 0. 0.0066
3 2006-12-06 25.6 SPY 142. -0.0008 0.00930 0.0268 0.0914 0.118 0.327 0.208 GLD 62.7 -1.76e-2 -0.0074
4 2006-12-07 25.6 SPY 141. -0.0044 0.0045 0.0184 0.0835 0.120 0.312 0.203 GLD 62.7 6.00e-4 -0.0258
5 2006-12-08 25.5 SPY 141. 0.0018 0.0086 0.0181 0.0844 0.122 0.325 0.213 GLD 62.0 -1.08e-2 -0.0323
6 2006-12-11 25.6 SPY 142. 0.00290 0.0038 0.0264 0.077 0.123 0.329 0.24 GLD 62.6 8.40e-3 -0.0242
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
